McKay originally auditioned for Saturday Night Live to be an onscreen performer, but did not make the cut. However, the scripts he submitted to the long-running sketch show earned him a job as writer from 1995 to 2001, including three seasons as head writer. He also directed a number of short films for the show, including the original SNL Digital Shorts. McKay encouraged his Second City friend Tina Fey to submit some of her scripts to Saturday Night Live, and she later succeeded him as head writer on the show. Though McKay was never an actual SNL cast member, he did make several on-camera appearances over the years and had a recurring role as an obnoxious audience member named "Keith" who would often shout insults at the celebrity hosts during their opening monologue.

McKay has directed, and co-written with Will Ferrell, the feature films Anchorman: The Legend of Ron Burgundy (2004), Talladega Nights: The Ballad of Ricky Bobby (2006), Step Brothers (2008), The Other Guys (2010), Anchorman 2: The Legend Continues (2013). He has also directed an "alternate film" about Ron Burgundy that is considered a companion to Anchorman: The Legend of Ron Burgundy (2004) entitled Wake Up, Ron Burgundy: The Lost Movie (2004), which is made up mostly of alternative takes, deleted scenes and scrapped sub-plots from the original film strung together with a narrative.

He has directed a number of short films, including a good number of digital shots for Saturday Night Live, and the short videos The Landlord and Good Cop, Baby Cop for Funny or Die that star his daughter Pearl. Among the other short films he has directed include The Procedure (2007) starring Will Ferrell, Willem Dafoe and Andy Richter, Green Team (2008) starring Ferrell, John C. Reilly and himself, and the K-Swiss commercial, Kenny Powers: The K-Swiss MFCEO (2011), starring Danny McBride as Kenny Powers from Eastbound & Down, which he co-produces with Ferrell and has also directed an episode of ("Chapter 5", Season 1, Episode 5).